This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Existence and structure of stochastic equilibria with intertemporal substitution

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Frank Riedel () (Institut für Wirtschaftstheorie I, Humboldt-Universität zu Berlin, Spandauer Straße 1, Germany Manuscript)
Peter Bank () (Institut für Mathematik, Humboldt-Universität zu Berlin, Unter den Linden 6, D-10099 Berlin, Germany)

Additional information is available for the following registered author(s):

Abstract

We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy-Huang-Kreps preferences, equilibrium price processes are semimartingales for arbitrary endowments, but in general, they do not belong to the space suggested originally by Hindy and Huang (1992) due to an additional singular local time component.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://link.springer.de/link/service/journals/00780/papers/1005004/10050487.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text of the articles in this series is restricted

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 5 (2001)
Issue (Month): 4 ()
Pages: 487-509
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:finsto:v:5:y:2001:i:4:p:487-509

Note: received: July 2000; final version received: January 2001
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: General equilibrium; local substitution; non time additive utility;

Other versions of this item:

Find related papers by JEL classification:
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Martins-da-Rocha, V. F. & Riedel, Frank, 2008. "On Equilibrium Prices in Continuous Time," Economics Working Papers (Ensaios Economicos da EPGE) 672, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  3. Frank Riedel, 2007. "Optimal consumption choice with intolerance for declining standard of living," Working Papers 394, Bielefeld University, Institute of Mathematical Economics. [Downloadable!]
    Other versions:
  4. Frank Riedel, 2003. "Generic Determinacy of Equilibria with Local Substitution," GE, Growth, Math methods 0303001, EconWPA. [Downloadable!]
    Other versions:
  5. V. Martins-da-Rocha & Frank Riedel, 2006. "Stochastic equilibria for economies under uncertainty with intertemporal substitution," Annals of Finance, Springer, vol. 2(1), pages 101-122, January. [Downloadable!] (restricted)
  6. Gordan Zitkovic, 2009. "Stochastic equilibria and stability in a class of incomplete continuous-time financial environments," Quantitative Finance Papers 0906.0208, arXiv.org. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS also computes impact factors for journals and working paper series.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.